Spread, depth, imbalance, slippage, and cross-exchange comparison.
By the end, you should be able to
- Interpret spread and multiple depth levels.
- Use imbalance as a question, not a prediction.
- Compare exchanges while accounting for slippage.
Depth beyond the best quote
Illustrative asks show how a larger order walks up the book.
The four-part reading
Start with spread, inspect quantity at several levels, compare total visible bids and asks, then check whether exchanges agree. A narrow top quote can hide thin depth.
Slippage is the execution test
Execution depends on order size and available depth. A book that is liquid for a small order may be expensive for a larger one. Fees, latency, and venue risk also matter.
Pressure signals are fragile
Visible orders can be canceled, replaced, fragmented, or spoofed. Refresh the view and compare timestamps before interpreting a ratio or pressure label.
What this does not tell you
- Displayed orders can disappear before execution.
- Top-ten depth omits deeper levels and hidden liquidity.
- Quantity ratios across differently priced assets are not directly comparable.
Compare supported books
Inspect spread, depth, and consistency without converting them into a prediction.
- Open Bid / Ask Analysis for a supported asset.
- Record each exchange timestamp and any unavailable pair.
- Write whether the books agree and what could explain a difference.
Check your understanding
1. Why inspect several depth levels?
2. What does bid/ask imbalance describe?
3. Why compare timestamps?